Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0879
Annualized Std Dev 0.1829
Annualized Sharpe (Rf=0%) 0.4809

Row

Daily Return Statistics

Close
Observations 4062.0000
NAs 1.0000
Minimum -0.0885
Quartile 1 -0.0050
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0063
Maximum 0.1170
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0001
Stdev 0.0115
Skewness -0.2073
Kurtosis 6.8965

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0078
Loss Deviation 0.0087
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.4514
Historical VaR (95%) -0.0181
Historical ES (95%) -0.0275
Modified VaR (95%) -0.0176
Modified ES (95%) -0.0307
From Trough To Depth Length To Trough Recovery
2011-08-23 2015-12-02 2020-07-27 -0.4514 2246 1077 1169
2008-03-18 2008-11-12 2009-09-16 -0.2923 379 168 211
2006-05-12 2006-06-14 2007-09-18 -0.2199 340 23 317
2020-08-07 2021-03-08 NA -0.1872 156 146 NA
2009-12-03 2010-02-08 2010-05-11 -0.1271 109 45 64

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 -0.4 -0.8 -0.6 0.9 -0.3 -1.7 0.7 1.9 -0.7 -1.5 2.1 0.2 -0.3
2006 0.1 0.2 -0.7 0.1 -2.3 2.7 1.9 -0.1 -0.5 2.1 -0.4 0.3 3.3
2007 0.7 -1 0.2 -0.6 1.5 0 0.1 1.2 0.6 -0.6 -1.1 -0.7 0.1
2008 -2.4 0.5 -4 -3.1 0.9 1.4 -0.4 -0.5 0.9 -1.4 -5.7 0.8 -12.3
2009 2 -0.4 0.8 -0.3 -0.5 1.3 2 0.5 -0.9 -0.1 1.5 0.3 6.2
2010 2.2 0 1.2 0.9 0.9 -3.8 1.1 -0.2 0.9 -0.5 0.1 1.3 4
2011 0.6 1.7 -0.5 1.7 0.2 -0.8 -0.4 0.1 0.1 0 -0.2 1 3.6
2012 0.2 1.5 0.5 -0.2 3.9 2.6 -0.9 2.2 0.1 -0.5 -0.7 0.9 10
2013 0.1 -0.3 0.2 -1.2 -2 1.5 -1 -1 -2.9 -0.6 0.9 0.7 -5.5
2014 0.1 -0.4 -0.2 -0.3 -0.3 -0.2 0.8 -0.2 0.6 -2.2 4.1 -1.4 0.2
2015 2.2 0.2 1.7 -0.4 -0.1 -0.4 0.7 0.4 -0.2 -0.4 0.3 0 4.1
2016 1.2 -0.9 -0.6 2 -0.3 1.6 0.2 0.4 -0.3 0.6 -0.2 -0.5 3.3
2017 -0.3 0 0.3 -1 0.1 -0.2 -0.1 0.2 -0.4 0.3 0.4 0.6 0
2018 0.4 -0.3 0 -0.7 -0.4 0.4 -0.7 -0.1 -0.3 1.3 -0.2 0.2 -0.4
2019 -0.2 -1.7 -0.5 -0.7 1.5 -1.9 2.3 -0.4 0.5 0 0.5 0.1 -0.6
2020 0.7 -3.5 0.7 0.7 0.7 -0.4 1.1 0.2 0.8 0.4 2 0.4 3.6
2021 0.9 -0.1 0.5 NA NA NA NA NA NA NA NA NA 1.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-01-28  4.27 SPY    117.  0        0.0056  -0.0324   0.0372   0.0348   0.0648   -0.163 GLD    42.7  0.0016 -0.00120
2 2005-01-31  4.23 SPY    118.  0.0062   0.0138  -0.0245   0.0438   0.0412   0.0562   -0.168 GLD    42.2 -0.011  -0.0129 
3 2005-02-01  4.21 SPY    119.  0.0063   0.0174  -0.0162   0.0476   0.0433   0.0506   -0.156 GLD    42.1 -0.0028 -0.0033 
4 2005-02-02  4.22 SPY    119.  0.003    0.0174  -0.0086   0.0504   0.0483   0.0588   -0.150 GLD    42.2  0.0014 -0.0124 
5 2005-02-03  4.17 SPY    119. -0.0026   0.013    0.0019   0.0346   0.0541   0.0829   -0.124 GLD    41.7 -0.0114 -0.0221 
6 2005-02-04  4.15 SPY    120.  0.0107   0.0238   0.0188   0.0316   0.0623   0.101    -0.139 GLD    41.5 -0.005  -0.0286 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart